2008 CFA Level 1 － Sample 样题(1)－Q12 style, black, class

8586

12、The joint probability of returns, for securities A and B, are as follows:

Joint Probability Function of Security A and Security B Returns (Entries are joint probabilities)
	Return on security B=30%	Return on security B=20%
Return on security A= 25%	0.60	0
Return on security A= 20%	0	0.40

The covariance of the returns between securities A and B is closest to:

A. 3%.

B. 12%.

C. 24%.

D. 144%.

[此贴子已经被作者于2008-11-7 16:50:54编辑过]

8586

Correct answer = B

"Probability Concepts," Richard A. Defusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkel
2008 Modular Level I, Vol. 1, pp. 347-348
Study Session 2-8-l
calculate and interpret covariance given a joint probability function
Expected return on security A = 0.6 x 25% + 0.4 x 20% = 15% + 8% = 23%
Expected return on security B = 0.6 x 30% + 0.4 x 20% = 18% + 8% = 26%
Cov (R_AR_B) = 0.6 [(25 - 23)(30 - 26)] + 0.4 [(20 - 23)(20 - 26)]
= 0.6(2 x 4) + 0.4(-3 x -6) = 0.6(8) + 0.4(18) = 4.8 + 7.2 = 12% 

cxz0858

A

rwangy

[em08]

zjy1228

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zhangxie83

c

Riverview

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刀剑如梦

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gening

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盛夏的果实

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